Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework

DOI10.2143/AST.36.2.2017932zbMath1162.91369OpenAlexW2098216610MaRDI QIDQ3632847

Andrea Gheno, Massimiliano Corradini, Marisa Cenci

Publication date: 15 June 2009

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.36.2.2017932

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework

Cites Work

• Convex duality in constrained portfolio optimization
• On the pricing of contingent claims under constraints
• Risk, Ambiguity, and the Savage Axioms
• A Universal Framework for Pricing Financial and Insurance Risks
• The Dual Theory of Choice under Risk
• Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine